Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods (Q479171): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods |
scientific article |
Statements
Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods (English)
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5 December 2014
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coherent measure of risk
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Daniels' exponent
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fast Fourier transform
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Lundberg's exponent
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probability of ruin
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probabilites of ruin due to claim and to oscillation
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Richardson's extrapolation
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saddlepoint approximation
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stability
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upper and lower bounds
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